Concepedia
International Review of Economics & Finance · 2020 · 69 citations · 80 references
Open access
Volatility PersistenceEconomicsVolatility ModelingFinancial EconomicsAsset PricingBusinessStablecoinFinanceFinancial Crisis
80
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 22.7K citations · Full text
Autoregressive Time Series, Regression Estimator, Economics +14
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 21.9K citations
Economics, Volatility Modeling, Asset Pricing +4
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Robert F. Engle · Econometrica · 1982 · 20.3K citations
Forecasting Methodology, Volatility Modeling, Engineering +17
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 9K citations
Trends and random walks in macroeconmic time series
Charles R. Nelson, Charles R. Plosser · Journal of Monetary Economics · 1982 · 4.6K citations
Nonlinear Time Series, Stochastic Phenomenon, Random Walks